A limit theorem for sums of i.i.d. random variables with slowly varying tail probability (Q1088276)

Let \(\{X_ n:\) \(n\geq 1\}\) be a sequence of i.i.d. nonnegative random variables with common distribution function F such that \(1-F(x)\sim L^{-1}(x)\) as \(x\to \infty\), where L(x)\(\geq 0\), \(x\geq 0\), is a nondecreasing function varying slowly at infinity. Further let \(\xi =\{\xi (t):\) \(t\geq 0\}\) be the symmetric Cauchy process (E exp(i\(\theta\xi\) (t))\(=\exp (-\pi t| \theta |)\), \(\theta\in {\mathbb{R}})\) and let \(m=\{m(t):\) \(t\geq 0\}\), where \(m(0)=0\) and \(m(t)=\max \{\xi (s)-\xi (s-):\) \(0<s\leq t\}\), \(t>0\). It is proved that \(n^{- 1}L(S_{[nt]})\to^{D}m(t)\) as \(n\to \infty\) in the function space D([0,\(\infty)\to {\mathbb{R}})\), where \(S_ n=\sum^{n}_{j=1}X_ j\), \(n\geq 1\), and \(\to^{D}\) denotes the weak convergence in \(J_ 1\)- topology.